MAE/MFE not consolidated in Portfolio

Let me explain what I did and the results so will be easy to understand the bug

1. I uploaded 5 strategies separately;
2. I calculated MAE/MFE using historical data (WIN.csv attached).
3. The result was every strategy with your MAE/MFE. Until now perfect!
4. I created a portfolio including these 5 strategies to consolidate results.

MAE/MFE from 5 together but doesn't work! After creating a portfolio, even merging strategies, MAE/MFE remains separated for every strategy. I should get a consolidated result with MAE/MFE from all strategies calculated together, even in daily basis report.

Attached Im sending the HTML from 5 strategies, csv for historical data MAE/MFE calculating
Attachments
Bandas 2 minutos tendencia 25 meses.html
(1.34 MiB)
WINcsv.zip
(4.17 MiB)
Alvos maiores 25 meses.html
(1.46 MiB)
ifr tendencia 25 meses.html
(949.29 KiB)
Variaao diaria 25 meses.html
(1.41 MiB)
CRM 25 meses.html
(1.43 MiB)
  • Votes +15
  • Project QuantAnalyzer
  • Type Bug
  • Status New
  • Priority Low

History

pj
#1

Jean

14.04.2021 01:36

Task created

pj
#2

Jean

14.04.2021 01:36
Voted for this task.
h
#3

hankeys

14.04.2021 07:41
Voted for this task.
p
#4

Primebot

24.04.2021 15:31
Voted for this task.
p
#5

Primebot

25.04.2021 23:35
This is very useful and should be a priority to have in the tool. Any portfolio of automated strategies must have this type of daily study with MAE and MFE, to define risk management or even the daily goal of an automated portfolio.
It would also be very interesting if the quant could also analyze MAE / MFE also weekly and monthly in addition to the joint operations diary.

b
#6

bentra

26.04.2021 00:22
Voted for this task.
a
#7

Adriano

26.04.2021 01:19
Voted for this task.
JJ
#8

Joaquim

26.04.2021 14:35
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FD
#9

filipedieb

27.04.2021 15:28
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AG
#10

arggomes

27.04.2021 15:30
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AB
#11

awmbaptista

27.04.2021 15:35
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a
#12

Andre

27.04.2021 15:55
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dt
#13

DARVIN FERNANDO THOMAS FILHO

27.04.2021 16:06
Voted for this task.
JL
#14

jonatasdieb

27.04.2021 17:59
Voted for this task.
FF
#15

flavioflor

27.04.2021 20:43
Voted for this task.
u
#16

Ulisses Machado Rodrigues

27.04.2021 23:01
Voted for this task.
dm
#17

Daniel

30.04.2021 18:37
Voted for this task.

Votes: +15

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